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Continuous Probability Distributions Continuous Random Variable A random variable whose space (set of possible values) is an entire interval of numbers Probability Density Function (or pdf) The pdf, denoted f( x ), describes the distribution of probability across the set of possible values. The probability that the random variable X takes on a value between a and b is equal to the area under f( x ) between a and b.
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Probability Density Function The pdf of a continuous random variable X has the following properties: 1. f( x ) ≥ 0, for every x S 2. - ∞ ∞ f( x ) dx = 1 3. P( x A ) = A f( x ) dx
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Probability Density Function So we have that: P( a < x < b ) = a b f( x ) dx P( X = a ) = a a f( x ) dx = 0 P( a ≤ x ≤ b ) = P( a < x < b )
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Histogram A “connected” bar plot with bar height proportional to the frequency of the associated class. Can be very useful for estimating a pdf. Discrete Data Each distinct outcome is marked on horizontal axis. Bar is plotted atop each distinct outcome with bar height equal to frequency or relative frequency or that outcome.
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Histogram Continuous Data Construct a frequency table Partition data into classes and tabulate the frequency for each class. Use frequency table to plot histogram Mark class boundaries on horizontal axis and plot a bar on top of each class with height equal to the frequency or relative frequency of data in that class.
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Cumulative Distribution Function Called the cdf or distribution function The cdf of a continuous random variable X is given by: F( x ) = P( X ≤ x ) = - ∞ x f( t ) dt Consider that P( a < X < b) = P( a ≤ x ≤ b ) = F( b ) – F( a ) P( X > a ) = 1 – P( X ≤ a ) = 1 – F( a )
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Cumulative Distribution Function Using the fundamental theorem of calculus, it can be shown that:
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Percentile Let p be a number between 0 and 1, and let X be a continuous random variable with pdf f( x ) and cdf f( x ). The 100·p th percentile is the number such that F( p )=p. Solve the following equation for p :
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Mathematical Expectation The mathematical expectation of a continuous random variable X with pdf f( x ) is: = E[ X ] = - ∞ ∞ x f( x ) dx E[ X ] is also called the mean or expected value of X
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Variance The variance of a continuous random variable X with pdf f( x ) is: = E[ ( X – ) ] = - ∞ ∞ ( x – ) f( x ) dx = - ∞ ∞ ( x – ) f( x ) dx = E[ X ] – (E[ X ]) = E[ X ] – (E[ X ]) measure of spread in f( x )
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Expected Value of a Function The expected value of the function h( x ) of a continuous random variable X with pdf f( x ) is: = E[ h( X ) ] = - ∞ ∞ h( x ) f( x ) dx Note that E[ h( X ) ] might not exist.
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Continuous Uniform Distribution Uniformly distributes the probability across the sample space. If X is a continuous random variable on the interval [a,b], then The pdf of X is: f( x ) = 1 / ( b – a ), for a ≤ x ≤ b
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Continuous Uniform Distribution If X is a continuous random variable on the interval [a,b], then The cdf of X is: F( x ) = ( x – a ) / ( b – a ), for a ≤ x ≤ b The mean and variance of X are: = E[ X ] = ( a + b ) / 2 = ( b – a ) / 12
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Exponential Distribution Can be used to describe the waiting time between successive events in a Poisson process with mean Can be used to describe the waiting time between successive events in a Poisson process with mean If X is an exponential random variable from a Poisson process with mean, then The pdf of X is: f( x ) = e - x , for x ≥ 0
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Exponential Distribution If X is an exponential random variable from a Poisson process with mean, then The cdf of X is: F( x ) = P ( X ≤ x ) = 1 - e - x, for x ≥ 0 So P ( X > x ) = 1 – F ( x ) = e - x The mean and variance of X are: = 1/ = 1/
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Exponential Distribution Memoryless Property P( X > k + j | X > k ) = P( X > j ) Percentiles of an Exponential The p th percentile of an exponential random variable with mean 1/ is: p = -1/ ln( 1 – p )
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Normal Distribution Commonly occurring distribution in nature and experimental settings. symmetric, bell-shaped A normal random variable X with mean and variance 2 is denoted: X ~ N( , 2 ) has pdf:
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Standard Normal Distribution A standard normal random variable is denoted Z and has distribution Z ~ N( 0, 1 ). The pdf and cdf of a standard normal random variable are denoted ( z ) and ( z ) respectively. Table A.3 contains probability values associated with ( z ). Note that ( z ) = 1 - ( -z )
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Standard Normal Distribution z Notation The value of Z that has probability to its right is denoted z , so P( Z > z ) = . by symmetry, P( Z z ) = Percentile p = z p
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Non-Standard Normal Distribution Any normal random variable X ~ N( , 2 ) can be “standardized” into a Z by: Z = ( x – ) / Percentile p = + z p
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Normal Approximation of Discrete Distributions Many discrete random variables can be approximated by the normal distribution A continuity correction of ±½ is required when estimating a discrete probability with the normal distribution
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Normal Approximation of the Binomial Distribution Let X be a binomial random variable with sample size n and probability of success p. If the sample size is sufficient ( np ≥ 5 and nq ≥ 5 ), then X can be approximated by a normal distribution with the same mean =np and variance 2 =npq. X ~ B( n, p ) N( np, npq ) PDF for Graphs: Binomial n=15Binomial n=15, Binomial n=50, Binomial p=0.25 Binomial n=50Binomial p=0.25 Binomial n=15Binomial n=50Binomial p=0.25
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Normal Approximation of the Poisson Distribution Let X be a Poisson random variable with sufficiently large mean, then X can be approximated by a normal distribution with the same mean = 2 =npq. X ~ P( ) N(, ) PDF for Graphs:Poisson ( = 1, 5, 10, 15 ) Poisson ( = 1, 5, 10, 15 )Poisson ( = 1, 5, 10, 15 )
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Empirical Rule For data that is approximately normal in distribution (bell-shaped), 68% of data values fall within 1 standard deviation of the mean, 95.4% of data values fall within 2 standard deviation of the mean, 99.7% of data values fall within 3 standard deviation of the mean,
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x - 3s x - 2s x - s x x + 2s x + 3s x + sx + s 68% within 1 standard deviation 34% 95% within 2 standard deviations 99.7% of data are within 3 standard deviations of the mean 0.1% 2.4% 13.5% The Empirical Rule (applies to bell-shaped distributions )
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Identifying Unusual Observations Range Rule of Thumb: Empirical rule says 95% of observations should fall within 2 of the mean. Observations outside of ± 2 are considered unusual. Probability Approach: The probability of the observed outcome or more extreme can be useful for identifying unusual observations. For example, if X is the observed outcome: X is unusually high if P(x or more) is less than 0.05 X is unusually low if P(x or less) is more than 0.05
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Probability Plots A probability plot can be useful for comparing the distribution of one sample data set to another. If both data sets have the same sample size, then plot the order statistics from each sample against each other in a scatter plot. Otherwise, plot order statistics from the smaller sample against corresponding sample percentiles from the other sample. Note: The i th smallest observation is taken to be the (100*(i-½)/n) th sample percentile.
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Measures of Relative Position Percentile The k th percentile (P k ) separates the bottom k% of data from the top (100-k)% of data. The location of P k in the order statistics is:
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Interpretation of Probability Plots Probability plot for comparing 2 sample data sets: A straight line with slope 1 and y-intercept 0 indicates identical sample distributions. A slope greater than 1 indicates that x is less variable than y. A slope less than 1 indicates that x is more variable than y. A y-intercept different from 0 indicates that the two samples have a different mean.
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Probability Plots A probability plot can be useful for comparing the distribution of sample data to a specified probability distribution. Order statistics (or sample percentiles) of the sample are plotted against the corresponding percentiles of the probability distribution of interest. Called the “Normal Probability Plot” when sample data is compared to normal percentiles.
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Simulating Data from a Continuous Probability Distribution Theorem Let Y be U(0,1), a continuous uniform random variable on the interval (0,1). Let F( x ) have the properties of a cdf, then X = F -1 ( Y ) is a continuous random variable with cdf F( x ). So, random data can be generate from any cdf that has an inverse function by generating random U(0,1) data and transforming it into F( x ) data.
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